Index tracking is possibly the most popular form of passive fund management. Tracking errors summarize the extent to which an index fund is able to accurately track a benchmark index. Although it is common both in academic studies and in the financial practice to choose quadratic tracking error...

Hansen/Jagannathan (1991) show how to use security market data to restrict the admissible region for means and standards deviations of intertemporal marginal rates of substitution of consumers. They als characterise the duality betwenn the mean-standard deviation frontier for valid stochastic...